Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0978
Annualized Std Dev 0.2365
Annualized Sharpe (Rf=0%) 0.4137

Row

Daily Return Statistics

Close
Observations 3743.0000
NAs 1.0000
Minimum -0.1474
Quartile 1 -0.0061
Median 0.0009
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0074
Maximum 0.1230
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0010
Variance 0.0002
Stdev 0.0149
Skewness -0.3373
Kurtosis 10.6349

Downside Risk

Close
Semi Deviation 0.0109
Gain Deviation 0.0104
Loss Deviation 0.0118
Downside Deviation (MAR=210%) 0.0152
Downside Deviation (Rf=0%) 0.0106
Downside Deviation (0%) 0.0106
Maximum Drawdown 0.6016
Historical VaR (95%) -0.0226
Historical ES (95%) -0.0359
Modified VaR (95%) -0.0222
Modified ES (95%) -0.0393
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2013-03-06 -0.6016 1360 355 1005
2020-02-13 2020-03-23 NA -0.5100 278 27 NA
2018-10-04 2018-12-24 2019-07-12 -0.2555 193 56 137
2015-04-13 2016-02-11 2016-06-06 -0.1768 291 212 79
2006-05-08 2006-06-13 2006-11-14 -0.1324 134 26 108

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA 1.4 0.3 -0.5 0.7 -0.6 -0.6 -0.3 -0.7 -0.2
2007 1.3 0 -0.4 0.3 0.1 0.5 1.3 0.9 1.9 -1.6 -0.7 -0.6 2.9
2008 1.9 -2.4 3.2 1.6 1.6 0.5 0.1 -1.4 -1.5 2.2 -7.4 3.1 1.1
2009 -0.6 -3.2 1.3 1.5 4.5 0.1 -0.3 -0.9 -2.6 -2.6 1.5 -1.5 -2.8
2010 1.3 1.8 0.4 -2.3 -2.3 -0.9 -0.1 4 -0.1 -0.8 2.6 0.2 3.8
2011 1.3 -1.7 0.7 0.8 -2.6 1.2 -1.1 -2.2 -2 -3.7 0 -0.7 -9.7
2012 1.8 0.3 0.2 0.4 -2.6 3.5 -1.1 0.7 1 1 0 1.8 6.9
2013 0.7 -0.3 -1 -0.7 -0.6 1.2 1.9 -1.2 0.9 0.6 -0.5 0.4 1.3
2014 0.6 0.1 1.3 -0.3 0.2 0.9 0.7 0.1 -2.1 1 -1 -1.2 0.3
2015 -1.5 -0.1 -0.5 0.9 0.1 0.8 -0.1 -2.6 -0.4 -0.5 0.5 -0.8 -4
2016 -0.4 0.8 0.3 -0.5 0.5 0.2 0.4 0.4 0.5 -0.5 0.4 -0.6 1.6
2017 0 1.4 -0.4 -0.4 0.4 0.7 0.5 -0.3 0.3 -0.1 -1.4 -0.6 0
2018 0.6 -2 1.5 -1.9 1 0.3 -0.6 0.3 0.3 2.4 0.5 1.2 3.5
2019 0.2 0.1 2.3 0.2 -1.2 -0.9 -1.5 0.3 -2.2 1.6 -0.4 -0.4 -2.1
2020 -2 -2.3 -5.1 -3.4 1 -0.9 -1.1 0.1 0.5 -0.2 0.7 0 -12.2
2021 1.7 3.3 -0.2 NA NA NA NA NA NA NA NA NA 5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-05-05  26.0 SPY    133.  0.0088    0.008    0.0115   0.0495    0.128    0.411   0.0609 GLD    68.0  0.0076   0.0446
2 2006-05-08  25.9 SPY    132. -0.00120   0.015    0.0114   0.0455    0.130    0.417   0.0418 GLD    67.6 -0.0063   0.0368
3 2006-05-09  25.9 SPY    133.  0.002     0.0094   0.0238   0.0569    0.126    0.434   0.0457 GLD    69.7  0.0314   0.047 
4 2006-05-10  26.0 SPY    133. -0.0005    0.0127   0.0217   0.0468    0.137    0.414   0.0586 GLD    70.4  0.01     0.059 
5 2006-05-11  25.7 SPY    131. -0.0121   -0.0031   0.018    0.0359    0.117    0.380   0.0283 GLD    71.0  0.0092   0.0526
6 2006-05-12  25.1 SPY    129. -0.0131   -0.0248   0.0028   0.0205    0.115    0.365   0.0238 GLD    71.1  0.0013   0.046 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart